Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 08 (3D) | Dec 09 (4D) | Dec 10 (5D) | Dec 11 (6D) | Dec 12 (7D) | Dec 15 (10D) | Dec 16 (11D) | Dec 17 (12D) | Dec 18 (13D) | Dec 19 (14D) | Dec 26 (21D) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 674.599 | 673.084 | 671.75 | 670.544 | 669.434 | 666.514 | 665.642 | 664.808 | 664.009 | 663.239 | 658.486 |
| upper | 694.181 | 695.696 | 697.03 | 698.236 | 699.346 | 702.266 | 703.138 | 703.972 | 704.771 | 705.541 | 710.294 |
| expected move | 9.791 | 11.306 | 12.64 | 13.846 | 14.956 | 17.876 | 18.748 | 19.582 | 20.381 | 21.151 | 25.904 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
